Tag Archives: Structured Agency Credit Risk

Freddie Mac obtained insurance policies through these ACIS transactions that move much of the remaining credit risk associated with two Structured Agency Credit Risk (STACR) debt notes executed earlier this year to a panel of insurers and reinsurers.

Freddie Mac has laid off a portion of credit risk on more than $281 billion in unpaid principal balance for single-family mortgages through 13 STACR offerings and seven Agency Credit Insurance Structure (ACIS) transactions. More than one million loans have been represented in those transactions.

The STACR offering in late May priced at $425.6 million was Freddie Mac's fourth this year and 13th overall. Freddie Mac has laid off a substantial portion of credit risk for more than $280 billion in unpaid balances on single-family mortgages through STACR transactions.

The STACR offering priced on Tuesday is the GSE’s fourth this year and 13th overall. Freddie Mac began the STACR program in the second half of 2013 as part of the Enterprise’s goal of reducing risk to taxpayers by increasing private capital’s role in the mortgage market.

The latest offering, STACR Series 2015-DNA1, represents a couple of firsts for Freddie Mac's STACR program: it is the enterprise's first transaction in which losses will be allocated based on actual losses realized on related reference obligations instead of using a fixed severity approach to allocate losses.

While this STACR offering will be similar to Freddie Mac's recent STACR transactions, the difference will be that losses will be allocated based on actual losses realized on the related reference obligations as opposed to allocating losses to the debt notes based on a fixed severity approach.